0001085146-13-000971.txt : 20130515 0001085146-13-000971.hdr.sgml : 20130515 20130515130457 ACCESSION NUMBER: 0001085146-13-000971 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20130331 FILED AS OF DATE: 20130515 DATE AS OF CHANGE: 20130515 EFFECTIVENESS DATE: 20130515 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELLINGTON MANAGEMENT GROUP LLC CENTRAL INDEX KEY: 0001098490 IRS NUMBER: 061441140 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11539 FILM NUMBER: 13845290 BUSINESS ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 BUSINESS PHONE: 2036981200 MAIL ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 13F-HR 1 ellington1q2013.txt ELLINGTON MANAGEMENT GROUP, LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2013 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Ellington Management Group, LLC Address: 53 Forest Avenue Old Greenwich, CT 06870 13F File Number: 028-11539 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: David Rice Title: Chief Compliance Officer Phone: 203-698-1200 Signature, Place, and Date of Signing: /s/ David Rice Greenwich, CT May 15, 2013 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 791 Form 13F Information Table Value Total: $479,483 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AAON INC COM PAR $0.004 000360206 444 16100 SH SOLE 9100 0 7000 AAR CORP COM 000361105 248 13500 SH SOLE 7600 0 5900 ABAXIS INC COM 002567105 218 4600 SH SOLE 2600 0 2000 ABB LTD SPONSORED ADR 000375204 325 14300 SH SOLE 8000 0 6300 ABERCROMBIE & FITCH CO CL A 002896207 245 5300 SH SOLE 3000 0 2300 ACACIA RESH CORP ACACIA TCH COM 003881307 1098 36400 SH SOLE 20600 0 15800 ACCRETIVE HEALTH INC COM 00438V103 291 28600 SH SOLE 16300 0 12300 ACCURIDE CORP NEW COM NEW 00439T206 116 21591 SH SOLE 12415 0 9176 ACE LTD SHS H0023R105 205 2300 SH SOLE 1300 0 1000 ACORDA THERAPEUTICS INC COM 00484M106 753 23500 SH SOLE 13300 0 10200 ACTIVISION BLIZZARD INC COM 00507V109 170 11700 SH SOLE 6700 0 5000 ACTUANT CORP CL A NEW 00508X203 208 6800 SH SOLE 3800 0 3000 ADECOAGRO S A COM L00849106 111 14400 SH SOLE 8100 0 6300 ADVISORY BRD CO COM 00762W107 924 17600 SH SOLE 9900 0 7700 AEGEAN MARINE PETROLEUM NETW SHS Y0017S102 187 27800 SH SOLE 15700 0 12100 AEGON N V NY REGISTRY SH 007924103 428 71200 SH SOLE 40200 0 31000 AEROPOSTALE COM 007865108 611 44900 SH SOLE 25200 0 19700 AES CORP COM 00130H105 520 41400 SH SOLE 23400 0 18000 AFFILIATED MANAGERS GROUP COM 008252108 691 4500 SH SOLE 2500 0 2000 AFFYMETRIX INC COM 00826T108 271 57500 SH SOLE 32400 0 25100 AFLAC INC COM 001055102 973 18700 SH SOLE 10600 0 8100 AGCO CORP COM 001084102 1095 21000 SH SOLE 11900 0 9100 AIR METHODS CORP COM PAR $.06 009128307 671 13900 SH SOLE 7800 0 6100 AIRCASTLE LTD COM G0129K104 404 29500 SH SOLE 16700 0 12800 AKORN INC COM 009728106 387 28000 SH SOLE 15800 0 12200 ALASKA AIR GROUP INC COM 011659109 237 3700 SH SOLE 2000 0 1700 ALBANY MOLECULAR RESH INC COM 012423109 961 91400 SH SOLE 51600 0 39800 ALBEMARLE CORP COM 012653101 375 6000 SH SOLE 3400 0 2600 ALEXANDER & BALDWIN INC NEW COM 014491104 1055 29500 SH SOLE 16600 0 12900 ALIGN TECHNOLOGY INC COM 016255101 1149 34300 SH SOLE 19400 0 14900 ALKERMES PLC SHS G01767105 223 9400 SH SOLE 5300 0 4100 ALLEGIANT TRAVEL CO COM 01748X102 1039 11700 SH SOLE 6600 0 5100 ALLERGAN INC COM 018490102 380 3400 SH SOLE 1900 0 1500 ALLIED WRLD ASSUR COM HLDG A SHS H01531104 297 3200 SH SOLE 1800 0 1400 ALLSTATE CORP COM 020002101 363 7400 SH SOLE 4200 0 3200 ALON USA ENERGY INC COM 020520102 964 50600 SH SOLE 28600 0 22000 ALTERA CORP COM 021441100 305 8600 SH SOLE 4700 0 3900 ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 572 8200 SH SOLE 4600 0 3600 AMARIN CORP PLC SPONS ADR NEW 023111206 594 80200 SH SOLE 45300 0 34900 AMAZON COM INC COM 023135106 826 3100 SH SOLE 1700 0 1400 AMC NETWORKS INC CL A 00164V103 967 15300 SH SOLE 8700 0 6600 AMEREN CORP COM 023608102 525 15000 SH SOLE 8500 0 6500 AMERESCO INC CL A 02361E108 90 12100 SH SOLE 6800 0 5300 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 208 9900 SH SOLE 5600 0 4300 AMERICAN ASSETS TR INC COM 024013104 384 12000 SH SOLE 6800 0 5200 AMERICAN CAP LTD COM 02503Y103 363 24900 SH SOLE 14100 0 10800 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2036 108900 SH SOLE 61500 0 47400 AMERICAN EQTY INVT LIFE HLD COM 025676206 564 37900 SH SOLE 21400 0 16500 AMERICAN INTL GROUP INC COM NEW 026874784 582 15000 SH SOLE 8500 0 6500 AMERICAN RAILCAR INDS INC COM 02916P103 257 5500 SH SOLE 3000 0 2500 AMERICAN VANGUARD CORP COM 030371108 1148 37600 SH SOLE 21200 0 16400 AMERICAN WOODMARK CORP COM 030506109 279 8200 SH SOLE 4600 0 3600 AMERICAN WTR WKS CO INC NEW COM 030420103 381 9200 SH SOLE 5200 0 4000 ANACOR PHARMACEUTICALS INC COM 032420101 718 111100 SH SOLE 62800 0 48300 ANALOG DEVICES INC COM 032654105 860 18500 SH SOLE 10400 0 8100 ANALOGIC CORP COM PAR $0.05 032657207 324 4100 SH SOLE 2300 0 1800 ANDERSONS INC COM 034164103 278 5200 SH SOLE 3000 0 2200 ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 577 24500 SH SOLE 13800 0 10700 ANIXTER INTL INC COM 035290105 594 8500 SH SOLE 4800 0 3700 ANN INC COM 035623107 554 19100 SH SOLE 10700 0 8400 AOL INC COM 00184X105 423 11000 SH SOLE 6200 0 4800 APACHE CORP COM 037411105 378 4900 SH SOLE 2800 0 2100 APOLLO GROUP INC CL A 037604105 1140 65600 SH SOLE 37100 0 28500 APPLE INC COM 037833100 1018 2300 SH SOLE 1300 0 1000 APPLIED INDL TECHNOLOGIES IN COM 03820C105 401 8900 SH SOLE 5000 0 3900 APPLIED MICRO CIRCUITS CORP COM NEW 03822W406 231 31100 SH SOLE 17600 0 13500 APTARGROUP INC COM 038336103 465 8100 SH SOLE 4600 0 3500 AQUA AMERICA INC COM 03836W103 446 14200 SH SOLE 8000 0 6200 ARBOR RLTY TR INC COM 038923108 152 19400 SH SOLE 11000 0 8400 ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 267 20500 SH SOLE 11600 0 8900 ARIAD PHARMACEUTICALS INC COM 04033A100 694 38400 SH SOLE 21600 0 16800 ARM HLDGS PLC SPONSORED ADR 042068106 275 6500 SH SOLE 3600 0 2900 ARRIS GROUP INC COM 04269Q100 388 22600 SH SOLE 12800 0 9800 ARTHROCARE CORP COM 043136100 292 8400 SH SOLE 4700 0 3700 ASCENA RETAIL GROUP INC COM 04351G101 215 11600 SH SOLE 6500 0 5100 ASHFORD HOSPITALITY TR INC COM SHS 044103109 235 19000 SH SOLE 10800 0 8200 ASHLAND INC NEW COM 044209104 386 5200 SH SOLE 3000 0 2200 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 316 8200 SH SOLE 4600 0 3600 ASPEN TECHNOLOGY INC COM 045327103 701 21700 SH SOLE 12300 0 9400 ASSURED GUARANTY LTD COM G0585R106 995 48300 SH SOLE 27300 0 21000 ASTEX PHARMACEUTICALS INC COM 04624B103 131 29400 SH SOLE 16600 0 12800 AT&T INC COM 00206R102 264 7200 SH SOLE 4100 0 3100 ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 334 8200 SH SOLE 4600 0 3600 ATMEL CORP COM 049513104 191 27400 SH SOLE 15400 0 12000 AUDIENCE INC COM 05070J102 326 21400 SH SOLE 12100 0 9300 AVERY DENNISON CORP COM 053611109 349 8100 SH SOLE 4600 0 3500 AVG TECHNOLOGIES N V SHS N07831105 582 41800 SH SOLE 23600 0 18200 AVON PRODS INC COM 054303102 446 21500 SH SOLE 12200 0 9300 AXIALL CORP COM 05463D100 1225 19700 SH SOLE 11200 0 8500 AZZ INC COM 002474104 583 12100 SH SOLE 6800 0 5300 BABCOCK & WILCOX CO NEW COM 05615F102 1534 54000 SH SOLE 30100 0 23900 BAIDU INC SPON ADR REP A 056752108 614 7000 SH SOLE 4000 0 3000 BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 170 19400 SH SOLE 11000 0 8400 BANCO MACRO SA SPON ADR B 05961W105 203 13800 SH SOLE 7680 0 6120 BANCO SANTANDER CHILE NEW SP ADR REP COM 05965X109 470 16500 SH SOLE 9300 0 7200 BANCOLOMBIA S A SPON ADR PREF 05968L102 911 14400 SH SOLE 8200 0 6200 BANCORP INC DEL COM 05969A105 294 21200 SH SOLE 12000 0 9200 BANNER CORP COM NEW 06652V208 398 12500 SH SOLE 7100 0 5400 BARCLAYS PLC ADR 06738E204 1083 61000 SH SOLE 34400 0 26600 BARD C R INC COM 067383109 786 7800 SH SOLE 4500 0 3300 BARNES GROUP INC COM 067806109 538 18600 SH SOLE 10500 0 8100 BARRETT BUSINESS SERVICES IN COM 068463108 379 7200 SH SOLE 4100 0 3100 BB&T CORP COM 054937107 229 7300 SH SOLE 4100 0 3200 BBCN BANCORP INC COM 073295107 549 42000 SH SOLE 23700 0 18300 BEACON ROOFING SUPPLY INC COM 073685109 379 9800 SH SOLE 5500 0 4300 BELDEN INC COM 077454106 356 6900 SH SOLE 3900 0 3000 BENCHMARK ELECTRS INC COM 08160H101 548 30400 SH SOLE 17200 0 13200 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 490 4700 SH SOLE 2600 0 2100 BIG 5 SPORTING GOODS CORP COM 08915P101 436 27900 SH SOLE 15700 0 12200 BIG LOTS INC COM 089302103 716 20300 SH SOLE 11500 0 8800 BIOSCRIP INC COM 09069N108 414 32600 SH SOLE 18400 0 14200 BLOOMIN BRANDS INC COM 094235108 1136 63600 SH SOLE 36000 0 27600 BLOUNT INTL INC NEW COM 095180105 177 13200 SH SOLE 7500 0 5700 BLYTH INC COM NEW 09643P207 372 21400 SH SOLE 12100 0 9300 BOEING CO COM 097023105 618 7200 SH SOLE 4000 0 3200 BOINGO WIRELESS INC COM 09739C102 84 15200 SH SOLE 8600 0 6600 BOISE INC COM 09746Y105 591 68200 SH SOLE 38500 0 29700 BOSTON PRIVATE FINL HLDGS IN COM 101119105 135 13700 SH SOLE 7800 0 5900 BOSTON PROPERTIES INC COM 101121101 253 2500 SH SOLE 1400 0 1100 BOULDER BRANDS INC COM 101405108 1108 123200 SH SOLE 69600 0 53600 BRITISH AMERN TOB PLC SPONSORED ADR 110448107 236 2200 SH SOLE 1200 0 1000 BROWN FORMAN CORP CL B 115637209 357 5000 SH SOLE 2800 0 2200 BRUKER CORP COM 116794108 825 43200 SH SOLE 24300 0 18900 BRUNSWICK CORP COM 117043109 808 23600 SH SOLE 13300 0 10300 BT GROUP PLC ADR 05577E101 546 13000 SH SOLE 7400 0 5600 BUILDERS FIRSTSOURCE INC COM 12008R107 95 16200 SH SOLE 9100 0 7100 C H ROBINSON WORLDWIDE INC COM NEW 12541W209 1183 19900 SH SOLE 11300 0 8600 CABOT MICROELECTRONICS CORP COM 12709P103 455 13100 SH SOLE 7400 0 5700 CADENCE DESIGN SYSTEM INC COM 127387108 283 20300 SH SOLE 11500 0 8800 CALAMP CORP COM 128126109 340 31000 SH SOLE 17500 0 13500 CALIFORNIA WTR SVC GROUP COM 130788102 432 21700 SH SOLE 12200 0 9500 CALLIDUS SOFTWARE INC COM 13123E500 73 16000 SH SOLE 9000 0 7000 CALPINE CORP COM NEW 131347304 459 22300 SH SOLE 12600 0 9700 CAMERON INTERNATIONAL CORP COM 13342B105 1004 15400 SH SOLE 8700 0 6700 CAMPUS CREST CMNTYS INC COM 13466Y105 513 36900 SH SOLE 20800 0 16100 CAPITAL SR LIVING CORP COM 140475104 383 14500 SH SOLE 8200 0 6300 CARDTRONICS INC COM 14161H108 272 9900 SH SOLE 5600 0 4300 CARLISLE COS INC COM 142339100 373 5500 SH SOLE 3100 0 2400 CARMIKE CINEMAS INC COM 143436400 294 16200 SH SOLE 9100 0 7100 CARRIAGE SVCS INC COM 143905107 247 11600 SH SOLE 6500 0 5100 CATHAY GENERAL BANCORP COM 149150104 201 10000 SH SOLE 5600 0 4400 CBEYOND INC COM 149847105 213 28682 SH SOLE 16500 0 12182 CBL & ASSOC PPTYS INC COM 124830100 1152 48800 SH SOLE 27600 0 21200 CBRE GROUP INC CL A 12504L109 995 39400 SH SOLE 22200 0 17200 CELANESE CORP DEL COM SER A 150870103 308 7000 SH SOLE 3900 0 3100 CELLCOM ISRAEL LTD SHS M2196U109 222 27100 SH SOLE 15400 0 11700 CEMEX SAB DE CV SPON ADR NEW 151290889 347 28400 SH SOLE 16100 0 12300 CENTRAIS ELETRICAS BRASILEIR SPON ADR PFD B 15234Q108 177 28200 SH SOLE 15900 0 12300 CENTRAIS ELETRICAS BRASILEIR SPONSORED ADR 15234Q207 124 36200 SH SOLE 20400 0 15800 CHEMTURA CORP COM NEW 163893209 566 26200 SH SOLE 14800 0 11400 CHENIERE ENERGY INC COM NEW 16411R208 543 19400 SH SOLE 11000 0 8400 CHICOS FAS INC COM 168615102 329 19600 SH SOLE 11100 0 8500 CHINA LIFE INS CO LTD SPON ADR REP H 16939P106 347 8800 SH SOLE 4600 0 4200 CHINA PETE & CHEM CORP SPON ADR H SHS 16941R108 585 5000 SH SOLE 2800 0 2200 CHINA UNICOM (HONG KONG) LTD SPONSORED ADR 16945R104 160 11900 SH SOLE 6700 0 5200 CHRISTOPHER & BANKS CORP COM 171046105 375 58300 SH SOLE 32900 0 25400 CHURCHILL DOWNS INC COM 171484108 287 4100 SH SOLE 2300 0 1800 CIBER INC COM 17163B102 282 59900 SH SOLE 33900 0 26000 CINEMARK HOLDINGS INC COM 17243V102 353 12000 SH SOLE 6800 0 5200 CIRCOR INTL INC COM 17273K109 213 5000 SH SOLE 2900 0 2100 CIRRUS LOGIC INC COM 172755100 2186 96100 SH SOLE 54300 0 41800 CLEAR CHANNEL OUTDOOR HLDGS CL A 18451C109 81 10800 SH SOLE 6100 0 4700 CLEARWATER PAPER CORP COM 18538R103 285 5400 SH SOLE 3100 0 2300 CNH GLOBAL N V SHS NEW N20935206 504 12200 SH SOLE 6900 0 5300 CNO FINL GROUP INC COM 12621E103 152 13300 SH SOLE 7400 0 5900 CNOOC LTD SPONSORED ADR 126132109 479 2500 SH SOLE 1400 0 1100 COACH INC COM 189754104 730 14600 SH SOLE 8300 0 6300 COBALT INTL ENERGY INC COM 19075F106 457 16200 SH SOLE 9100 0 7100 COGENT COMM GROUP INC COM NEW 19239V302 364 13800 SH SOLE 7800 0 6000 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 391 5100 SH SOLE 2900 0 2200 COINSTAR INC COM 19259P300 351 6000 SH SOLE 3500 0 2500 COLUMBIA BKG SYS INC COM 197236102 635 28900 SH SOLE 16300 0 12600 COMCAST CORP NEW CL A 20030N101 466 11100 SH SOLE 6200 0 4900 COMMUNITY HEALTH SYS INC NEW COM 203668108 611 12900 SH SOLE 7200 0 5700 COMPANHIA BRASILEIRA DE DIST SPN ADR PFD CL A 20440T201 1332 25000 SH SOLE 14200 0 10800 COMPANHIA DE BEBIDAS DAS AME SPON ADR PFD 20441W203 1177 27800 SH SOLE 15700 0 12100 COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 950 80200 SH SOLE 45300 0 34900 COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 413 26700 SH SOLE 15100 0 11600 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SH SOLE 3300 0 2700 DST SYS INC DEL COM 233326107 542 7600 SH SOLE 4300 0 3300 DU PONT E I DE NEMOURS & CO COM 263534109 683 13900 SH SOLE 7800 0 6100 DUN & BRADSTREET CORP DEL NE COM 26483E100 744 8900 SH SOLE 5000 0 3900 DUPONT FABROS TECHNOLOGY INC COM 26613Q106 704 29000 SH SOLE 16400 0 12600 DYCOM INDS INC COM 267475101 388 19700 SH SOLE 11100 0 8600 E M C CORP MASS COM 268648102 268 11200 SH SOLE 6300 0 4900 E TRADE FINANCIAL CORP COM NEW 269246401 165 15400 SH SOLE 8700 0 6700 EAGLE MATERIALS INC COM 26969P108 366 5500 SH SOLE 3100 0 2400 EAST WEST BANCORP INC COM 27579R104 1314 51200 SH SOLE 29000 0 22200 EBAY INC COM 278642103 206 3800 SH SOLE 2100 0 1700 EBIX INC COM NEW 278715206 697 43000 SH SOLE 24300 0 18700 EDISON INTL COM 281020107 237 4700 SH SOLE 2600 0 2100 EDWARDS LIFESCIENCES CORP COM 28176E108 526 6400 SH SOLE 3700 0 2700 EHEALTH INC COM 28238P109 1132 63300 SH SOLE 35800 0 27500 ELECTRONIC ARTS INC COM 285512109 554 31300 SH SOLE 17700 0 13600 ELECTRONICS FOR IMAGING INC COM 286082102 591 23300 SH SOLE 13200 0 10100 ELLINGTON FINANCIAL LLC COM 288522303 48982 1979080 SH SOLE 1979080 0 0 EMBRAER S A SP ADR REP 4 COM 29082A107 778 21800 SH SOLE 12400 0 9400 EMCOR GROUP INC COM 29084Q100 890 21000 SH SOLE 11700 0 9300 ENCANA CORP COM 292505104 222 11400 SH SOLE 6500 0 4900 ENCORE CAP GROUP INC COM 292554102 629 20900 SH SOLE 11800 0 9100 ENDOCYTE INC COM 29269A102 441 35400 SH SOLE 20000 0 15400 ENERGEN CORP COM 29265N108 713 13700 SH SOLE 7600 0 6100 ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 634 23300 SH SOLE 13200 0 10100 ENERSIS S A SPONSORED ADR 29274F104 1391 72300 SH SOLE 40800 0 31500 ENGILITY HLDGS INC COM 29285W104 324 13500 SH SOLE 7600 0 5900 ENPRO INDS INC COM 29355X107 481 9400 SH SOLE 5300 0 4100 ENSIGN GROUP INC COM 29358P101 291 8700 SH SOLE 4900 0 3800 ENSTAR GROUP LIMITED SHS G3075P101 410 3300 SH SOLE 1800 0 1500 EPAM SYS INC COM 29414B104 339 14600 SH SOLE 8200 0 6400 ERICSSON ADR B SEK 10 294821608 644 51100 SH SOLE 28900 0 22200 EURONET WORLDWIDE INC COM 298736109 234 8900 SH SOLE 5000 0 3900 EVERCORE PARTNERS INC CLASS A 29977A105 1352 32500 SH SOLE 18400 0 14100 EVEREST RE GROUP LTD COM G3223R108 493 3800 SH SOLE 2100 0 1700 EXELIS INC COM 30162A108 1183 108600 SH SOLE 60600 0 48000 EXLSERVICE HOLDINGS INC COM 302081104 266 8100 SH SOLE 4600 0 3500 EXPONENT INC COM 30214U102 205 3800 SH SOLE 2100 0 1700 EXPRESS INC COM 30219E103 1186 66600 SH SOLE 37700 0 28900 EXTERRAN HLDGS INC COM 30225X103 1242 46000 SH SOLE 26000 0 20000 F M C CORP COM NEW 302491303 308 5400 SH SOLE 3100 0 2300 F5 NETWORKS INC COM 315616102 1149 12900 SH SOLE 7200 0 5700 FABRINET SHS G3323L100 162 11100 SH SOLE 6300 0 4800 FAIRCHILD SEMICONDUCTOR INTL COM 303726103 267 18900 SH SOLE 10700 0 8200 FEDERAL SIGNAL CORP COM 313855108 314 38600 SH SOLE 21800 0 16800 FEDERATED INVS INC PA CL B 314211103 296 12500 SH SOLE 7000 0 5500 FEDEX CORP COM 31428X106 373 3800 SH SOLE 2100 0 1700 FELCOR LODGING TR INC COM 31430F101 481 80800 SH SOLE 45600 0 35200 FIFTH & PAC COS INC COM 316645100 1882 99700 SH SOLE 56200 0 43500 FINANCIAL ENGINES INC COM 317485100 369 10200 SH SOLE 5900 0 4300 FIRST AMERN FINL CORP COM 31847R102 775 30300 SH SOLE 17100 0 13200 FIRST BANCORP P R COM NEW 318672706 145 23200 SH SOLE 13100 0 10100 FIRST COMWLTH FINL CORP PA COM 319829107 276 37000 SH SOLE 20900 0 16100 FIRST FINL BANCORP OH COM 320209109 201 12500 SH SOLE 7100 0 5400 FIRST MIDWEST BANCORP DEL COM 320867104 531 40000 SH SOLE 22600 0 17400 FIRST REP BK SAN FRANCISCO C COM 33616C100 251 6500 SH SOLE 3700 0 2800 FLAGSTAR BANCORP INC COM PAR .001 337930705 1137 81600 SH SOLE 46100 0 35500 FLOWERS FOODS INC COM 343498101 211 6400 SH SOLE 3600 0 2800 FLOWSERVE CORP COM 34354P105 1258 7500 SH SOLE 4200 0 3300 FOOT LOCKER INC COM 344849104 1257 36700 SH SOLE 20700 0 16000 FOREST CITY ENTERPRISES INC CL A 345550107 514 28900 SH SOLE 16300 0 12600 FOREST OIL CORP COM PAR $0.01 346091705 973 185000 SH SOLE 104500 0 80500 FORTINET INC COM 34959E109 1537 64900 SH SOLE 36700 0 28200 FORWARD AIR CORP COM 349853101 451 12100 SH SOLE 6800 0 5300 FOSSIL INC COM 349882100 367 3800 SH SOLE 2200 0 1600 FRANCESCAS HLDGS CORP COM 351793104 603 21000 SH SOLE 11900 0 9100 FRANKLIN ELEC INC COM 353514102 285 8500 SH SOLE 4844 0 3656 FRESH MKT INC COM 35804H106 342 8000 SH SOLE 4500 0 3500 FULLER H B CO COM 359694106 320 8200 SH SOLE 4600 0 3600 FXCM INC COM CL A 302693106 591 43200 SH SOLE 24400 0 18800 G & K SVCS INC CL A 361268105 551 12100 SH SOLE 6800 0 5300 GAMESTOP CORP NEW CL A 36467W109 277 9900 SH SOLE 5600 0 4300 GARTNER INC COM 366651107 963 17700 SH SOLE 10000 0 7700 GATX CORP COM 361448103 312 6000 SH SOLE 3400 0 2600 GENERAC HLDGS INC COM 368736104 905 25600 SH SOLE 14400 0 11200 GENESCO INC COM 371532102 240 4000 SH SOLE 2200 0 1800 GENOMIC HEALTH INC COM 37244C101 614 21700 SH SOLE 12300 0 9400 GENPACT LIMITED SHS G3922B107 1302 71600 SH SOLE 40400 0 31200 GEO GROUP INC COM 36159R103 252 6700 SH SOLE 3800 0 2900 GERDAU S A SPON ADR REP PFD 373737105 591 76600 SH SOLE 43200 0 33400 GIANT INTERACTIVE GROUP INC ADR 374511103 88 13500 SH SOLE 7700 0 5800 GLATFELTER COM 377316104 248 10600 SH SOLE 6000 0 4600 GLOBAL CASH ACCESS HLDGS INC COM 378967103 711 100800 SH SOLE 56900 0 43900 GLOBAL PMTS INC COM 37940X102 273 5500 SH SOLE 3100 0 2400 GOL LINHAS AEREAS INTLG S A SP ADR REP PFD 38045R107 628 105500 SH SOLE 59600 0 45900 GOLAR LNG LTD BERMUDA SHS G9456A100 817 22100 SH SOLE 12500 0 9600 GOLD FIELDS LTD NEW SPONSORED ADR 38059T106 917 118300 SH SOLE 66900 0 51400 GOODYEAR TIRE & RUBR CO COM 382550101 1128 89500 SH SOLE 50600 0 38900 GRACO INC COM 384109104 859 14800 SH SOLE 8300 0 6500 GRAN TIERRA ENERGY INC COM 38500T101 1033 175600 SH SOLE 99200 0 76400 GRANITE CONSTR INC COM 387328107 490 15400 SH SOLE 8700 0 6700 GRAPHIC PACKAGING HLDG CO COM 388689101 279 37300 SH SOLE 21200 0 16100 GREAT PLAINS ENERGY INC COM 391164100 257 11100 SH SOLE 6300 0 4800 GREENHILL & CO INC COM 395259104 918 17200 SH SOLE 9800 0 7400 GROUP 1 AUTOMOTIVE INC COM 398905109 949 15800 SH SOLE 8900 0 6900 GUIDEWIRE SOFTWARE INC COM 40171V100 377 9800 SH SOLE 5600 0 4200 HAIN CELESTIAL GROUP INC COM 405217100 623 10200 SH SOLE 5700 0 4500 HALOZYME THERAPEUTICS INC COM 40637H109 494 85700 SH SOLE 48400 0 37300 HANCOCK HLDG CO COM 410120109 798 25800 SH SOLE 14400 0 11400 HANESBRANDS INC COM 410345102 355 7800 SH SOLE 4400 0 3400 HANGER INC COM NEW 41043F208 268 8500 SH SOLE 4800 0 3700 HARMONY GOLD MNG LTD SPONSORED ADR 413216300 983 153400 SH SOLE 86700 0 66700 HARRIS CORP DEL COM 413875105 315 6800 SH SOLE 3800 0 3000 HARTFORD FINL SVCS GROUP INC COM 416515104 230 8900 SH SOLE 5000 0 3900 HARVARD BIOSCIENCE INC COM 416906105 75 13200 SH SOLE 7500 0 5700 HAWAIIAN ELEC INDUSTRIES COM 419870100 607 21900 SH SOLE 12300 0 9600 HAWAIIAN HOLDINGS INC COM 419879101 505 87500 SH SOLE 49400 0 38100 HCA HOLDINGS INC COM 40412C101 589 14500 SH SOLE 8100 0 6400 HEALTHCARE SVCS GRP INC COM 421906108 487 19000 SH SOLE 10700 0 8300 HEALTHCARE TR AMER INC CL A 42225P105 153 13000 SH SOLE 7400 0 5600 HEALTHSOUTH CORP COM NEW 421924309 707 26800 SH SOLE 15100 0 11700 HEALTHSTREAM INC COM 42222N103 250 10900 SH SOLE 6200 0 4700 HEARTLAND PMT SYS INC COM 42235N108 326 9900 SH SOLE 5500 0 4400 HECLA MNG CO COM 422704106 299 75600 SH SOLE 42700 0 32900 HENRY JACK & ASSOC INC COM 426281101 213 4600 SH SOLE 2600 0 2000 HERSHA HOSPITALITY TR SH BEN INT A 427825104 173 29700 SH SOLE 16700 0 13000 HERSHEY CO COM 427866108 1392 15900 SH SOLE 9000 0 6900 HFF INC CL A 40418F108 315 15800 SH SOLE 9000 0 6800 HILLSHIRE BRANDS CO COM 432589109 1652 47000 SH SOLE 26600 0 20400 HNI CORP COM 404251100 213 6000 SH SOLE 3500 0 2500 HOLLYFRONTIER CORP COM 436106108 1384 26900 SH SOLE 15200 0 11700 HOME BANCSHARES INC COM 436893200 226 6000 SH SOLE 3400 0 2600 HOME DEPOT INC COM 437076102 384 5500 SH SOLE 3000 0 2500 HOME LN SERVICING SOLUTIONS ORD SHS G6648D109 684 29300 SH SOLE 16500 0 12800 HOMEOWNERS CHOICE INC COM 43741E103 270 9900 SH SOLE 5600 0 4300 HSN INC COM 404303109 1245 22700 SH SOLE 12800 0 9900 HUBBELL INC CL B 443510201 1039 10700 SH SOLE 6100 0 4600 HUNTINGTON BANCSHARES INC COM 446150104 216 29300 SH SOLE 16500 0 12800 HUNTINGTON INGALLS INDS INC COM 446413106 971 18200 SH SOLE 10200 0 8000 HURON CONSULTING GROUP INC COM 447462102 532 13200 SH SOLE 7400 0 5800 HYATT HOTELS CORP COM CL A 448579102 817 18900 SH SOLE 10700 0 8200 IAC INTERACTIVECORP COM PAR $.001 44919P508 1363 30500 SH SOLE 17300 0 13200 ICON PLC SHS G4705A100 588 18200 SH SOLE 10100 0 8100 ICONIX BRAND GROUP INC COM 451055107 254 9800 SH SOLE 5500 0 4300 ICU MED INC COM 44930G107 825 14000 SH SOLE 7900 0 6100 IGATE CORP COM 45169U105 213 11300 SH SOLE 6400 0 4900 ILLUMINA INC COM 452327109 259 4800 SH SOLE 2700 0 2100 IMPAX LABORATORIES INC COM 45256B101 491 31800 SH SOLE 18000 0 13800 INCONTACT INC COM 45336E109 163 20100 SH SOLE 11200 0 8900 INCYTE CORP COM 45337C102 201 8605 SH SOLE 4905 0 3700 INFINERA 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